TY - UNPB
T1 - Testing, Monitoring, and Dating Structural Changes in Maximum Likelihood Models
AU - Zeileis, Achim
AU - Shah, Ajay
AU - Patnaik, Ila
PY - 2008/9/1
Y1 - 2008/9/1
N2 - A unified toolbox for testing, monitoring, and dating structural changes is provided for likelihood-based regression models. In particular, least-squares methods for dating breakpoints are extended to maximum likelihood estimation. The usefulness of all techniques is illustrated by assessing the stability of de facto exchange rate regimes. The toolbox is used for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and tracking the evolution of the Indian exchange rate regime since 1993.
AB - A unified toolbox for testing, monitoring, and dating structural changes is provided for likelihood-based regression models. In particular, least-squares methods for dating breakpoints are extended to maximum likelihood estimation. The usefulness of all techniques is illustrated by assessing the stability of de facto exchange rate regimes. The toolbox is used for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and tracking the evolution of the Indian exchange rate regime since 1993.
U2 - 10.57938/b4a5e4ab-61a1-4f54-b615-7519a47bb2e3
DO - 10.57938/b4a5e4ab-61a1-4f54-b615-7519a47bb2e3
M3 - WU Working Paper
T3 - Research Report Series / Department of Statistics and Mathematics
BT - Testing, Monitoring, and Dating Structural Changes in Maximum Likelihood Models
CY - Wien
ER -